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Testing of Changes in Persistence and Their Effect on the Forecasting Quality
[Тестирование Изменения Инерционности И Влияние На Качество Прогнозов]

Author

Listed:
  • Petrenko, Victoria (Петренко, ВИктория)

    (Russian Presidential Academy of National Economy and Public Administration (RANEPA))

  • Skrobotov, Anton (Скроботов, Антон)

    (Russian Presidential Academy of National Economy and Public Administration (RANEPA))

  • Turuntseva, Maria (Турунцева, Мария)

    (Russian Presidential Academy of National Economy and Public Administration (RANEPA))

Abstract

This paper provides a review of contributions to the field of change in persistence testing. We discuss both the constant/changed persistence testing (including multiple changes in persistence testing) and methods of estimation and inference for the dates of persistence changes.

Suggested Citation

  • Petrenko, Victoria (Петренко, ВИктория) & Skrobotov, Anton (Скроботов, Антон) & Turuntseva, Maria (Турунцева, Мария), 2016. "Testing of Changes in Persistence and Their Effect on the Forecasting Quality [Тестирование Изменения Инерционности И Влияние На Качество Прогнозов]," Working Papers 542, Russian Presidential Academy of National Economy and Public Administration.
    • Handle: RePEc:rnp:wpaper:542
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    References listed on IDEAS

    as
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    Keywords

    persistence testing; methods of estimation; forecasting;
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